2003 Speakers:

- Robert Jarrow, (Cornell):
*A Reduced Form Theory of the Firm* - Marco Avellaneda, (NYU):
*A market-induced mechanism for stock pinning* - Jean-Pierre Fouque, (North Carolina State):
*Multiscale stochastic volatility* - Kay Giesecke, (Cornell):
*The Market Price of Credit Risk* - Vicky Henderson, (Princeton):
*A comparison of q-optimal option prices in a stochastic volatility model with correlation* - David Li, (Citigroup):
*Pricing and hedging synthetic CDO transactions* - Vladimir Piterbarg, (Bank of America):
*Pricing and hedging callable Libor exotics in forward Libor models* - Barry Schacter, (SAC Capital):
*Problems of performance measurement in hedge funds*

2002 Speakers:

- Alan Brace, (BNP Paribas):
*Markovian Models in the Stochastic Implied Volatility Framework* - Pierre Collin-Dufresne, (Carnegie-Mellon University):
*Generalizing the Affine Framework to HJM and Random Field Models* - Jaksa Cvitanic, (University of Southern California):
*An Intertemporal Model of Active Portfolio Management* - Craig Friedman, (Standard & Poors):
*Learning Models for Credit Risk* - Martin Haugh, (Columbia University):
*Hedging Financial Risks in Supply Chain Management* - Marco Naldi, (Lehman Brothers):
*CDO Analysis: Beyond the CADR Assumption* - Dmitry Pugachevsky, (Bear Stearns):
*Efficient Modeling of Default Correlations* - Carlos Sin, (UBS Warburg):
*Interest Rate Models that are Stable Under Measure Change*

2001 Speakers:

- Philipp Schoenbucher, (Bonn University):
*Pricing Exotic Credit Derivatives* - Zhifeng Zhang, (Morgan Stanley):
*Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps* - David Chasman, (Sempra Energy Trading):
*Managing 'Simple' and Not-So-Simple Energy Risk* - Richard Sandor, (Environmental Financial Products):
*The Chicago Climate Exchange: Creating a Market for Greenhouse Gas Emissions Trading* - Michael Johannes, (Columbia Business School):
*The Impact of Jumps in Volatility and Returns* - Alan Lewis, (OptionCity.net):
*A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes* - Nick Webber, (University of Warwick):
*Lattice Methods for Levy Processes* - Steve Heston, (Goldman Sachs):
*The Expectations Puzzle in a Log-Linear Bond Model* - Phelim Boyle, (University of Waterloo):
*Monte Carlo Methods for Asset Allocation*

2000 Speakers:

- Vladimir Finkelstein, (Goldman Sachs):
*Pricing Single Name Credit Derivatives*(pdf) - Ludger Overbeck, (Deutsche Bank AG):
*Credit Portfolio Modeling* - Michael Dempster, (Cambridge University):
*Wavelet-Based PDE Methods for Derivative Valuation*(pdf - Vadim Linetsky, (Northwestern University):
*Eigenfunction Expansion Methods in Derivatives Pricing*(pdf) - David Heath, (Carnegie Mellon):
*Equivalent Martingale Measures and Lévy's Theorem*(pdf of slides) (pdf of thesis) - Alexander Lipton, (Deutsche Bank):
(pdf)__Pricing and Risk-Managing Exotics on Assets with Stochastic Volatility__ - Ronnie Sircar, (Princeton University):
*Partial Hedging of Derivative Risk under Stochastic Volatility*(g-zip) - Mikhail Chernov, (Columbia University):
*Alternative Models for Stock Price Dynamics*

1999 Speakers:

- Robert Engle, (University of California San Diego and NYU):
*CAViaR: Conditional Value at Risk By Regression Quantiles* - Simon Babbs, (Bank One):
*Conditional Gaussian Models of the Term Structure of Interest Rates* - Silverio Foresi, (Goldman, Sachs & Co):
*Affine Models of the Term Structure: Implementation of Derivative Pricing via Arrow-Debreu Prices* - Francis Diebold, (Wharton):
*Range-Based Estimation of Stochastic Volatility Models, with Application to Exchange Rate Dynamics* - David Modest, (Long Term Capital Management):
*LTCM: An Internal Perspective* - John Hull, (University of Toronto):
*Forward rate volatilities, swap rate volatilities, and the implementation of the LIBOR market model* - John Schoenmakers, (Weierstrass Institute):
*Log-normal Approximation and Robust Calibration of a Multi-Factor LIBOR Market Model*(paper1, paper2) - Jesper Andreasen, (General Re Financial Products):
*Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing*(talk) - Peter Forsyth, (University of Waterloo):
*Pricing path dependent options: the curse of interpolation* - Steve Kou, (Columbia University):
*A Jump Diffusion Model for Option Pricing with the Property of High Peak and Heavy Tails* - Joe Zhou, (Goldman Sachs):
*Valuing Options on Baskets of Stocks and Forecasting the Shape of Volatility Skews--A Practitioner's Approach*(paper, talk) - Geert Bekaert, (Columbia University):
*International Asset Allocation with Time-varying Correlations* - Dick Jefferis, (Koch Industries):
*Weather Derivatives and Industrial Risk Management* - Helyette Geman, (ESSEC):
*Weather, Electricity, and Insurance Derivatives*(talk)

1998 Speakers:

- Kaushik Amin (Lehman Brothers, New York):
*Emerging Market Derivatives* - Leif Anderson (General Re Financial Products):
*Volatility Skews and Extensions of the Libor Market Model* - Eric Briys (Lehman Brothers, London):
*Early Default, Absolute Priority Rule Violations and The Pricing of Risky Fixed Rate Debt* - Alexander Eydeland (Southern Energy):
*Pricing Power Derivatives* - Pat Hagan (Banque Paribas):
*Equivalent Black Volatilities* - Chris Heyde (Columbia University):
*Statistical Realities for Financial Time Series* - Vincent Kaminski (Enron):
*Value-at-Risk for Portfolios of Energy Derivatives* - Damien Lamberton (Universite de Marne la Vallee):
*Random Walk Approximation and Option Prices* - Bill Morokoff (Goldman Sachs):
*Applications of the Brownian Bridge to Derivatives Pricing and Risk* - Art Owen (Stanford University):
*Safe and Effective Importance Sampling* - Louis Scott (Morgan Stanley):
*The Pricing of Default Options and Credit Derivatives* - L.A.Shepp (Rutgers University):
*Option Pricing Without Completeness and Non-arbitrage* - Stuart Turnbull (Queen's University and CIBC):
*The Intersection Market and Credit Risk*

1997 Speakers:

- O. Cheyette (Barra):
*Implied Prepayments* - G. Constantinides (U. of Chicago):
*Transaction Costs and the Pricing of Derivatives Perspective and Recent Developments* - F. Delbaen (ETH, Zurich):
*Arbitrage Theory and Martingale Problems* - R. Engle (U. of California, San Diego):
*Time and the Price Impact of a Trade* - S. Figlewski (New York U.):
*The Adaptive Mesh Model: A New Approach to Efficient Option Pricing* - S. Grossman (U. of Pennsylvania, Wharton School):
*Aspects of Portfolio Insurance* - F. Jamshidian (Sakura Capital Markets):
*LIBOR and Swap Market Models and Measures* - M. Musiela (U. of New South Wales):
*Exotic Interest Rate Options* - A. Pelsser (ABN-Amro Bank):
*Pricing Double Barrier Options using Analytical Inversion of Laplace Transforms"* - R. Rebonato (Barclays Bank):
*Correlation, Instantaneous Volatility and the Evolution of the Term Structure of Volatilities in the Pricing of Interest-Rate Options* - P. Ritchken (Case Western U.):
*Pricing Options Under Generalized GARCH and Stochastic Volatility Processes* - Y. Ait Sahalia (U. of Chicago):
*Nonparametric Risk Management and Implied Risk Aversion* - J. Sidenius (SimCorp):
*Examining Multi-factor Market Models*

1996 Speakers:

- P. Bloomfield (Merrill Lynch)
- P. Carr (Morgan Stanley)
- J. Detemple (McGill U., Canada)
- P. Embrechts (ETH, Switzerland)
- B. Flesaker (Bear Stearns)
- G.Chichilnisky (Columbia University)
- H. Leland (U. Calif. Berkeley)
- A. Lo (MIT)
- E. Peters (Pan Agora Asset Mgmt)
- E. Reiner (UBS Securities)
- S. Ross (Yale U.)
- W.Segal (Dept. Housing and Urban Development, Washington)
- S. Shreve (Carnegie Mellon U.)

1995 Speakers:

- Mark Davis (Mitsubishi Finance):
*Option hedging and risk-constrained portfolios* - Emmanuel Derman (Goldman Sachs):
*Financial Modeling on Wall Street: A Physicist's perspective* - Raphael Douady (Ecole Normale Superiere and Societe Generale):
*Infinite dimensional models for the yield curve (Exploiting the smoothness)* - Hans Fö llmer (Humboldt U.):
*Different approaches to incompleteness* - Marco Frittelli (U. Milan, Italy):
*Valuation principle in security markets models with frictions* - Paul Glasserman (Columbia U.):
*Pricing American options by simulation* - Michael Hieb (UBS Securities):
*Practical issues in risk management* - Lane Hughston (Merril Lynch):
- Dilip Madan (U. Maryland):
*Estimation of risk neutral and statistical densities using the variance gamma process* - Antonio Paras (New York U.):
*Managing the volatility risk of exotic derivatives with vanilla options: uncertain volatility model (UVM)* - Eckhard Platen (Australian National U.):
*An attempt to explain the interest rate term structure* - Wolfgang Runggaldier (U. Padua, Italy):
*Bond markets when prices are driven by general marked point processes* - John van der Hoek (U. Adelaide, Australia):
*Evaluation of American options using a method of lines* - Paul Wilmott (Oxford U.):
*Research in mathematical finance at Oxford University* - Joe Zhou (Bear, Sterns & Co. Inc.):
*A basic model of commodity price behaviour*

1994 Speakers:

- M. Avellaneda (Courant Institute, New York U.):
*Valuation and dynamical hedging of derivative securities in the presence of transaction costs: binomial and lognormal models* - P. Boyle (U. Waterloo, Canada) :
*Quasi-random Monte Carlo* - M. Broadie (Columbia U.):
*American option valuation: new bounds, approximations, and a comparison of existing methods* - S. Browne (Columbia U.):
*Optimal investment policies for a firm with a random risk process* - P. Carr (Cornell U.):
*Fast accurate valuations of American options* - D. Heath (Cornell U.):
*Modeling the random evolution of the term structure of interest rates: the HJM framework* - R. Mark (Canadian Imperial Bank of Commerce):
*Risk management* - A. Mirabelli (Kidder Peabody):
*Pricing mortgages* - E. Platen (Australian National U.):
*Application of stochastic numerical methods in derivative pricing* - R. Skora (Sumitomo Bank Capital Markets):
*Measuring credit risk in derivative transactions* - S. Sundaresan (Columbia U.):
*Design and valuation of debt contracts* - J. Traub (Columbia U.):
*Computational complexity of high dimensional integration with applications to finance* - W. Willinger (Bellcore):
*FBM modeling of stock prices and some of the implications for option pricing*

**For general CAP inquiries:**

(Chris Heyde, Director of CAP)

(Karl Sigman, Secretary of CAP)